Apparatus and method for trade aggregation of trade allocations and settlements

ABSTRACT

A post-trade aggregation system for financial instrument trading systems, wherein a trader manages a plurality of trade orders to be executed by one or more executing brokers on behalf of customers via a data interface system. The plurality of trade orders includes at least one wrap block order and at least one institutional block order. The plurality of trade orders are merged into a single merged block order, apportioned into a plurality of smaller electronic trade orders, and transmitted to a plurality of order destinations. One or more computer systems are in electronic communication with the data interface system and with a clearing system, and configured to compress individual executions from the plurality of order destinations corresponding to the plurality of smaller electronic trade orders into a single net marked-up step-out for wrap orders and a single average-priced block for institutional orders.

RELATED APPLICATION DATA

This application is a continuation-in-part (CIP) application ofapplication Ser. No. 12/165,322, entitled APPARATUS AND METHOD FOR TRADEAGGREGATION OF TRADE ALLOCATIONS AND SETTLEMENTS, filed on Jun. 30,2008, the entire contents of which are incorporated herein by reference.

BACKGROUND OF THE INVENTION Field of the Invention

The present invention relates generally to electronic trading offinancial instruments and, more particularly, to an improved system andmethod for post-trade aggregation processing of executed instruments.

Description of the Related Art

Customers often execute trades with multiple brokers for a number ofreasons, such as to find liquidity, adhere to best execution, and reducemarket impact. Such customers also trade on behalf of many custodialcustomer accounts, resulting in numerous trade allocations on any giventrading day. With existing securities order processing and routingsystems, such trade allocations may incur substantial custodial“per-trade” ticket fees, which the custodial banks charge in order toprocess, settle, and affirm executions that come in from the variousbrokers who execute the trades.

Heretofore, the process of trade compression has been limited toexecutions done on exchanges and electronic communication networks(ECNs) where the brokerage firm itself is a direct member of thatexchange or ECN. Additionally, existing aggregation processing systemsalso incorporate order management systems, thereby requiring customerswho want to reduce the “pertrade” ticket fees through post-tradeaggregation to either purchase an entirely new system or pay theadditional ticket costs. Thus, there exists a need for a systemcompatible with the customers' existing technologies which allows themto compress trades executed across multiple brokers or orderdestinations internally. The present disclosure contemplates a new andimproved order aggregation and clearing system, for securities and otherfinancial instruments which overcomes the above-referenced limitationsand others.

SUMMARY OF THE INVENTION

According to an embodiment of the present invention, the orderallocation system is further configured to optimize the allocation oftrades to various ATSs according to two primary principles: first,optimizing orders based on the nature of flow in a given dark pool;second, allocating only to as many dark pools as are needed to maintainfill rate. In one aspect, a customer's order management system sends andreceives a trade order from the customer to a financial instrumenttrading system. The financial instrument trading system includes anorder staging and optimization interface. The order management system,and/or order staging and optimization interface, includes means forapportioning the order into a plurality of smaller orders. The ordermanagement system and/or staging and optimization interface thencommunicates the plurality of smaller orders to a plurality of orderdestinations. The individual executions or fills from the plurality oforder destinations are delivered back to the order management system andthen to the allocation middleware where the individual executions arecompressed into a single average-priced block.

In a further aspect, an apparatus includes a computer-based informationhandling system having a storage device storing instructions to beexecuted by the computer-based information handling system to receive aplurality of individual financial instrument trade executions from theplurality of order destinations, combine the plurality of individualfinancial instrument trade executions into a single average-pricedblock, and deliver the single average priced block and allocationinstructions to a clearing agent for delivery to custodial agents.

In another aspect, a method for trading financial instruments isprovided wherein a trade order is prepared and apportioned into aplurality of smaller trade orders. The plurality of smaller trade ordersare communicated to a plurality of order destinations. For each of theplurality of smaller trade orders, the individual trade order executionsare received from the plurality of order destinations, combined into asingle large average-priced block, and are delivered to a post-tradeaggregation system for combining the individual trade order executionsinto a single average-priced block and clearing.

One advantage of the present disclosure resides in the streamlining ofworkflow and technology. For example, customers, trading firms, andexecuting brokers can use their existing management systems for placingtrade orders in combination with the post trade aggregation system andmethod of the present disclosure, which automates the clearing,delivery, and billing processes, thereby reducing the costs associatedwith manual processing and human-error reconciliation.

Another advantage of the present disclosure resides in the ability tofacilitate trade compression across multiple executing brokers, whileavoiding the need for customers to incur higher custodial costsassociated with executing trades across multiple brokers. Utilizingmultiple brokers and execution venues may increase liquidity andminimize market impact, which in turn can affect portfolio performancefor the customer's end clients.

Another advantage of the present disclosure is that it allows thecustomer to seek best execution of a trade without being hindered byhigher costs. The present invention also allows the customer to copewith the fragmentation of the market and trade with more varieddestinations by reducing the costs of doing so.

Yet another advantage of the present disclosure is that it may result inlower costs for customers for a number of reasons, including fewercustodial tickets, fewer allocation and instruction messaging costs,fewer back-office trade-breaks, and fewer personnel required to dealwith trading issues.

In a further aspect, the present disclosure provides cost savings forsell-side executing brokers since they do not have to individuallyallocate, deliver, and affirm trades directly to individual custodialaccounts and trading firms. Business workflow is improved when brokersdeliver and clear trades against one central clearing entity directly,rather than individually with multiple institutional trading firms.

In a further aspect, the present invention includes a financialinstrument trading system that includes a data interface system, asystem for merging the plurality of trade orders into a single mergedblock order, and a post-trade aggregation system. The data interfacesystem is for managing a plurality of trade orders to be executed by oneor more executing brokers on behalf of customers. The plurality of tradeorders include at least one wrap block order and at least oneinstitutional block order. The system for merging the plurality of tradeorders into a single merged block order, is configured to apportion thesingle merged block order into a plurality of smaller electronic tradeorders and to communicate the plurality of smaller electronic tradeorders to a plurality of order destinations. The post-trade aggregationsystem is configured to receive execution data from the plurality oforder destinations for individual executions corresponding to theplurality of smaller electronic trade orders and to compress theindividual executions into a single net marked-up step-out for wraporders and a single average-priced block for institutional orders.

In a further aspect, the present invention includes a post-tradeaggregation system for financial instrument trading systems, wherein atrader manages a plurality of trade orders to be executed by one or moreexecuting brokers on behalf of customers via a data interface system;the plurality of trade orders includes at least one wrap block order andat least one institutional block order. The plurality of trade ordersare merged into a single merged block order, apportioned into aplurality of smaller electronic trade orders, and transmitted to aplurality of order destinations. The post-trade aggregation systemincludes one or more computer systems in electronic communication withthe data interface system and with a clearing system. The one or morecomputer systems may be configured to compress individual executionsfrom the plurality of order destinations corresponding to the pluralityof smaller electronic trade orders into a single net marked-up step-outfor wrap orders and a single average-priced block for institutionalorders.

According to other aspects of the present invention, a method isprovided for allocating and clearing electronic trade orders. The methodincludes a step of merging wrap and institutional conflict trade ordersinto a single block order in an order management system. Each tradeorder identifies a number of shares of a security to be traded. Themethod includes a step of dividing the single block order into aplurality of electronic trade orders. The method includes a step oftransmitting the plurality of electronic trade orders to a plurality oftrade destinations. The method includes a step of aggregating executionscorresponding to the plurality of electronic trade orders. From theaggregated execution data, data for institutional shares and wrap sharesmay be split into separate aggregated blocks. The method includes a stepof adding or subtracting blended commission rate from the averageaggregated price for the wrap allocations to create a new, net averageprice aggregated block. The method includes steps of setting step outallocations for the executions corresponding to the wrap orders; andtransmitting wrap block and step out allocations to a clearing facility.

Other benefits and advantages of the present invention will becomeapparent to those skilled in the art upon a reading the followingdescription with reference to the drawing figures and understanding ofthe preferred embodiments.

BRIEF DESCRIPTION OF THE DRAWINGS

The accompanying drawings, which are incorporated herein and form partof the specification, illustrate various embodiments of the presentinvention. In the drawings, like reference numbers indicate identical orfunctionally similar elements.

FIG. 1 is a block diagram of an equities trading system in accordancewith an exemplary embodiment of the present invention.

FIG. 2 is a flow diagram of order origination in accordance with anexemplary embodiment of the present invention.

FIG. 3 is a flow diagram outlining order execution in accordance with anexemplary embodiment of the present invention.

FIG. 4 is a flow diagram illustrating street-side clearing in accordancewith an exemplary embodiment of the present invention.

FIG. 5 is a flow diagram illustrating allocation and delivery inaccordance with an exemplary embodiment of the present invention.

FIG. 6 is a flow diagram outlining an exemplary method in 20 accordancewith the present invention.

FIG. 7 is a flow diagram illustrating a further embodiment providingtrade compression for all trades in a single security for a givendestination broker, with one set of allocations for that security beingdelivered out to multiple customer accounts.

FIG. 8 is a flow diagram illustrating the post-trade aggregation processin accordance with the present invention.

FIG. 9 is a flow diagram of a trading system having a post-tradeaggregation process in accordance with an embodiment of the presentinvention.

FIG. 10 is an block diagram illustrating the flow of a block tradepost-trade aggregation process in accordance with an embodiment of thepresent invention.

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS

The present disclosure provides an improved system and method ofpost-trade aggregation of financial instruments through which ancustomer can clear, allocate, accept delivery, and affirm trades, on acompressed, average priced basis. Although described herein primarily byway of reference to financial securities or equities, it will berecognized that the present invention is amenable to all manner offinancial instrument trading including without limitation domestic andinternational trading of stocks, bonds, options, futures, funds, andother tradable tangible and intangible commodities.

Referring now to FIG. 1, there is shown a block diagram illustrating atrading system 10 for the clearing of securities trading orders, and forthe allocation and delivery of the respective shares, in accordance withan exemplary embodiment of the present invention.

As depicted in FIG. 1, the trading system 10 may be used by a customer12, which may be, without limitation, a pension fund, mutual fund,investment manager, broker/dealer, hedge fund, or the like, and may be acustomer that trades on behalf of multiple custodial accounts. Thecustomer 12 is in communication with its order management system (OMS)14, which may be hosted, for example, on a computer-based informationhandling system of the customer 12 or of a brokerage company that buysand sells securities on behalf of the customer 12. It will be recognizedthat the order management system 14 can be any type of buy-side tradeallocation and settlement system, such as an execution management system(EMS), settlement system (SS), or other interface for placing ordersdirectly with an executing broker, including proprietary or custom-builtinterfaces. The customer 12 may communicate securities trading orders tothe OMS 14 of its institutional trading desk via a number of methods,including a telephone, a computer connected to the OMS 14 via theInternet or other communications network such as a local area network(LAN), wide area network (WAN), and so forth. The OMS 14 may be of atype that performs a number of functions, such as trade generation,order routing, and others. For ease of exposition, only a singlecustomer 12 is shown. It will be recognized that there may be any numberof customers.

Order staging and optimization software 16 apportions a large order intoa plurality of smaller orders with route destinations specified, whichare sent to order destinations 20, 22, 24, etc. Three order destinationsare depicted for ease of illustration, however, it will be recognizedthat there may be any number (N) of order destinations. Examples oforder staging and optimization software 16 are generally known in theart. Alternatively, smaller orders with route destinations specified maybe passed directly to the order destinations 20, 22, 24, etc., by theOMS 14, e.g., via the FIX protocol. Many customers already haveextensive FIX connectivity in place between their order managementsystem and executing brokers. The present development provides thesecustomers with an independent post-trade aggregation processing systemwhich is compatible with most customers' existing order managementtechnologies.

The order destinations 20, 22, 24, etc., may be a physical exchange,electronic clearinghouse or exchange, market maker, electronic crossingnetwork (ECN), algorithm desk, program desk, alternative trading system(ATS), or other means for matching buy and sell trades for securities orother financial instruments. The order staging and optimization software16 routes the smaller orders to the appropriate destinations.

With reference now to FIG. 2, and with continued reference to FIG. 1, aflow diagram appears outlining the order origination process using theorder staging and optimization software in accordance with the presentembodiment. In the depicted non-limiting example, the customer has anorder to execute a trade of 500,000 shares of IBM. The initial order isdivided into three smaller orders, either via order staging andoptimization software 16, or, is apportioned into three smaller ordersdirectly by OMS 14 and communicated to the order destinations 20, 22,24, etc., with route destinations specified, e.g., via the FIX protocolor other like protocol. In the example depicted in FIG. 2, the originalorder of 500,000 shares of IBM is divided into three smaller orders of150,000, 100,000, and 250,000 orders, which are routed to the orderdestinations 20, 22, and 24, respectively.

The destination brokers 20, 22, and 24 execute the trades in real timethroughout the day. Referring now to FIG. 3, with continued reference toFIG. 1, there is shown a flow diagram outlining the executions of theexemplary order illustrated in FIG. 2. The individual fills withindividual prices come back from the destinations 20, 22, and 24 to theorder staging and optimization software 16. The fills flow back in realtime to the OMS 14 from the respective brokers and order destinations.

At the end of each trading day, the executing destination brokers clearthe executions, on a block or individual basis, back to the executingbroker's designated clearing firm 26 on a broker-to-broker orfirm-to-firm basis. The broker-to-broker end-of-day clearance processmay be accomplished by a number of methods, including but not limited tocorrespondent flip, two-sided ACT lock-in, or the like, as would beunderstood by persons skilled in the art.

As best seen in FIG. 4, which illustrates the street-side,average-priced clearing process in accordance with the presentembodiment, the plurality of smaller trade orders clear in bulk (averageprice by symbol and side) with the buy-side executing broker'sdesignated clearing firm 26. The allocation 15 middleware 18 compressesall individual executions from the destinations used based on the tradeallocation output data from each broker and execution venue used. Theindividual executions are then compressed to a single volume-weighted,average-priced block (e.g., 500,000 shares of IBM in the depictedembodiment) based on the category or categories designated by thecustomer. The categories can be selected from common security, side,block ID, account, etc., or a combination thereof. The average-pricedblock is then paired off against the street-side executions at thedesignated clearing firm. A blended commission rate may then becalculated based on the mix of order destinations used.

It will be recognized that the allocation middleware 18 and otherfunctional modules as described herein are preferably hosted on acomputer based information handling system of the buy-side executingbroker and may be implemented in software, hardware, firmware, orcombinations thereof, and may employ dedicated processing circuitry ormay share common hardware.

The destination brokers or market centers deliver trade executions backto the buy-side executing broker's central street-side clearing account26 on a broker-to-broker basis at the end of each trading day. Theallocation middleware 18 further compresses the trades into averageprice tickets for central allocation and delivery out to the custodian28. Since the destination brokers do not allocate and deliver to thecustodians directly (e.g., via OASYS), they may not know where thetrades are ultimately settling.

A custodian entity 28 holds the securities on behalf of the customer 12.The average-priced block of shares is then allocated and delivered tothe appropriate custodial accounts, 32 a, 32 b, up to 32 n of thecustomer 12. As depicted in FIG. 1, the accounts 32 a-32 n may besubaccounts under an omnibus custodial account 30 of the customer 12. Inan alternative embodiment to FIG. 1, the allocated average-priced blockof shares may be delivered directly to the custodial accounts, 32 a, 32b, up to 32 n, from the allocation middleware 18. The subaccounts maybe, for example, funds, pension funds, or other accounts managed by thecustomer 12. Three subaccounts are depicted in FIG. 1 for ease ofillustration, however, it will be recognized that there may be anynumber (n) of subaccounts.

As best seen in FIG. 5, and referring to the example illustrated inFIGS. 2 through 4, the OMS 14 sends the allocations to the custodian 26.The OMS 14 also sends block and allocation information to the middleware18, e.g., via a secure server 38. The middleware 18 then sendsallocation instructions to the designated clearing agent or broker 26,e.g., via its depository trust company (DTC). The OMS 14 allocationinformation and buy-side executing broker delivery versus payment (DVP)allocation instructions (or journal entry where the trade clearslocally, i.e., at the same institution that executed the trade) match inthe DTC ID. The clearing agent 26 then delivers the shares to thevarious subaccounts based on the allocation instructions. It will berecognized that alternative allocation programs or methods 40, such asOASYS, fixed instructions/default, percent based, fix message, filebased, API, manual, and others, may be used to communicate theallocation instructions from OMS 14 to the clearing firm 26 andallocation middleware 18. In the depicted embodiment, the middleware 18compresses the trades into a single trade of 500,000 shares of IBM at anaverage price of $70.475, resulting in a substantial reduction incustodial ticket and other costs for the customer 12. A flow chartoutlining the above-described process appears in FIG. 6.

Referring now to FIG. 7, a further aspect of the post-aggregationprocessing system and method in accordance with the present embodimentoptionally allows destination brokers to roll up and average by priceall trades in a given security for multiple (up to any number, N)customers 20 a, 20 b, up to 20 n. The trades flow back to the allocationmiddleware 18 in a single ticket, thereby reducing the probability oferrors and resulting in substantial cost savings, such as ticket, labor,trade breaks, research, labor costs, and so forth.

As depicted in FIG. 8, the order management system 14 providesallocation information to allocation middleware 18, which in turnprovides instructions to the clearing agent 26 and custodian 28. Theallocation middleware 18 can be customized to each customer's desiredspecifications. Such customizations may include, for example, type ofdata interface, aggregation scheduling, designation of brokers,execution services, clearing firms, clearing firm settings, allocationrules, market configuration, and asset configuration. This customizationenables the post-trade aggregation system to reduce costs for customersby working with their current technologies and providing an aggregationof trades to reduce post trade clearing costs.

In certain embodiments, the allocation middleware 18 can be programmedto run in simulation mode to perform an aggregation allocation withoutactually purchasing and going through the steps of clearing andsettlement. In this manner, customers can determine the costs associatedwith making certain trades without actually performing the trade. Inaddition, the allocation middleware 18 may have reporting and researchinterfaces added to the system. A reporting interface may be provided toenable the user to create various reports such as aggregation savingsreports, clearing impact reports, order fragmentation reports,transaction cost analysis reports, peer analysis reports, STP and failrate reports, error and trade break reports, and others. A researchinterface may be provided to enable the user to perform real-time andhistorical trade research to obtain such information as block ID,allocation ID, trade date, trade range, security ID, ticker, name,account, broker, broker code, status, comparisons of original recordsand aggregation records, and so forth.

The skilled person will understand that the present invention is alsoapplicable to what is known as the “wrap” business wherein all expensesrelating to the account, including commissions, are wrapped into asingle fee. FIG. 9 is flow diagram illustrating a simple dataflow forallocating and aggregating both institutional block trades as well aswrap block trades according to embodiments of the present invention.

As shown in FIG. 9, customers 12 include both wrap accounts (sponsors1-4) and institutional accounts (Inst. Accounts 1-4). These customerscan send in wrap block orders as well as institutional block orders to atrader by means already explained herein. The blocks are merged into aconflict order on the traders OMS 14. Allocation middleware 18 isconfigured to route and execute merged orders with multiple destinations(e.g., brokers, liquidity pools) at regular commission rates. Executedblocks are flipped back to the allocation middleware 18 via means asalready described herein. Single net marked-up “step-outs” can be madeto each sponsor. At the same time, single RVP delivery at average priceand blended commission rate is made to each institutional account. Theskilled person should understand that a step-out occurs when an order isexecuted by one or several brokerage firms and then upon completion, theexecuting broker or brokers are instructed by their client to transfer(step out) all or a portion of the executed trade to another broker, forthe purposes of paying commissions or assigning credit on that portionof the trade to the receiving broker, who may in turn be provingresearch or analytic services to the client. Note that a trade executedwith one or several brokers can also be stepped out to one or severalbrokers, making the step-out process quite complex. The AllocationMiddleware (18) is designed to simplify this process by creating asingle step-out to one or several sponsors at the same net price, evenunder circumstances where a trade may be executed with several brokers.

FIG. 10 is block diagram illustrating a more detailed, example processflow according to embodiments of the present invention. In this example,a buy-side trader may make a single 600k share block trade forinstitutional and wrap as already described above, for example, viamultiple destinations 20-24 (in this case brokers 1-N) through OMS 14 orstaged via a front end system or optimizer 16. Orders will be executedat or by each destination at a respective price and incur commissions ata commission rate. Executions data flows back to the EMS and OMS byconventional means with their respective prices and commission rates.

Buy-side trader side post-trade system 18 (which can be implemented aspart of the EMS or as a separate system, e.g., server) that isconfigured to aggregate each block in the same manner, booking allallocations, in this example, through available known allocationprograms or methods 40, such as OASYS, fixed instructions/default,percent based, fix message, file based, API, manual, and others, may beused to communicate the allocation instructions, from OMS 14 to theclearing firm 26. OASYS is a U.S. domestic trade allocation andacceptance service provided by OMGEO that communicates trade andallocation details between investment managers and broker/dealers. OASYScan be used in place of other communication means such as faxes, phonecalls and e-mail. The skilled person will understand that a secureservice 40 other than OASYS may also be used to book the allocations.

The allocation middleware 18 is configured to intercept the OASYS 40allocations, to aggregate them, and to split the institutional sharesand wrap shares into separate ITGI blocks. Allocation middleware 18 isconfigured then to add/subtract the blended commission rate from theaverage aggregated price for only the wrap allocations to create a new,net average price block and set of step-out allocations. Allocationmiddleware 18 is also configured to send institutional block andallocations, and net wrap block and step-out allocations, over OASYS 40to clearing agent 26 after market close.

Clearing agent 26 prints each new net wrap block trade to the tape. Theclearing agent 26 delivers aggregated Institutional allocations toaccounts via RVP/DVP, and steps-out net wrap allocations to each wrapsponsor at new printed, marked-up price with no commission rate. Eachbroker receives instructions over OASYS to flip their block to ITG, attheir respective execution price. ITG pays each broker its respectivecommission rate (less the STC fee) for the entire executed block.

Wrap sponsors 32 each receive one net average-priced step-out trade fromITG; the buy-side trader has thus avoided the need for sponsor traderotation and ensured performance parity across sponsors andinstitutional customers.

In this example, Trader has 100,000 share “merged” block (which containsallocations for both Wrap and Institutional business) in the OMS. TraderExecutes with 2 brokers,:

T 25,000 with Broker1 at $30.00 Price $0.02 Commission Rate A ACCT112,500 A ACCT2 12,500 “Net Mark Up” = Y T 75,000 with Broker2 at $31.00Price $0.01 Commission Rate A ACCT1 37,500 A ACCT2 37,500 “Net Mark Up”= Y

Outbound to clearing agent 26 (e.g., ITGI) from Middleware 18→OASYS 40:

T 50,000 $30.75 Price $0.0125 Commission Rate A ACCT1 50,000 $0.0125Commission Rate T 50,000 $30.7625 Price A ACCT2 50,000 $0 CommissionRate, Step Out To: WRAP1*

Outbound to destination 20 (e.g., Broker1) from Middleware 18→OASYS 40:

T 25,000 $30.00 Price, $0.019 Commission Rate (is less a typical 10 milfee) A ITG1 25,000 $0.019 Commission Rate

Outbound to destination 22 (e.g., Broker2) from Middleware 18→OASYS 40:

T 75,000 $31.00 Price, $0.009 Commission Rate (is less a typical 10 milfee) A ITG1 75,000 $0.009 Commission Rate

This trade/allocation can be sent post-close over, e.g., OASYS 40 toclearing agent 26 and can be printed by the clearing agent 26 to ACT asa .N trade, after market close. It can then be stepped out from clearingagent 26 to WRAP1 sponsor accordingly.

As a result of the foregoing work flow, novel systems and methods areprovided for merging wrap and institutional conflict trades into asingle block in an OMS. Multiple destinations and liquidity seekingtools can still be used to achieve best execution. Orders can beaggregated by allocation middleware 18 to reduce step-outs andinstitutional deliveries—performance parity across both wrap andinstitutional accounts can be maintained and brokers can be paid forbest-execution services for entire workflow.

Certain embodiments of the invention may be implemented as sets ofinstructions resident in non-transitory memory of handling system orother storage device of one or more computer systems until required bythe computer system. The set of instructions may be stored in anelectronic or computer readable non-transitory memory, such as a mainmemory, hard disk drive, or in a removable memory such as an opticaldisc, a magnetic media, and so forth. Further, the set of instructionscan be stored in the non-transitory memory of another computer andtransmitted over a local area network or a wide area network, such asthe Internet, when desired by the user. Additionally, the instructionsmay be transmitted over a network in the form of an applet or othersmall program that is then local stored in non-transitory memory andinterpreted then. One skilled in the art would appreciate that thephysical storage of the sets of instructions or applets physicallychanges the medium upon which it is stored electrically, magnetically,chemically, physically, optically, or holographically so that the mediumcarries computer readable information.

While various embodiments/variations of the present invention have beendescribed above, it should be understood that they have been presentedby way of example only, and not limitation. Thus, the breadth and scopeof the present invention should not be limited by any of theabove-described exemplary embodiments. Further, unless stated, none ofthe above embodiments are mutually exclusive. Thus, the presentinvention may include any combinations and/or integrations of thefeatures of the various embodiments.

Additionally, while the processes described above and illustrated in thedrawings are shown as a sequence of steps, this was done solely for thesake of illustration. Accordingly, it is contemplated that some stepsmay be added, some steps may be omitted, and the order of the steps maybe re-arranged.

1. A tracking system, comprising: a data interface for managing aplurality of electronic orders transmitted to one or more executingbrokers, said plurality of electronic orders including at least one wrapblock order and at least one institutional block order; a system formerging the plurality of electronic orders into a single merged blockorder, apportioning the single merged block order into a plurality ofsmaller electronic orders, and communicating the plurality of smallerelectronic orders to a plurality of order destinations; and a post-tradeaggregation system configured to receive execution data from theplurality of order destinations for individual executions correspondingto the plurality of smaller electronic orders and to compress theindividual executions into a single net marked-up step-out for wraporders and a single average-priced block for institutional orders. 2.The tracking system of claim 1, wherein said post-trade aggregationsystem is further configured to allocate each block among a plurality ofcustodial accounts based on received allocation information.
 3. Thetracking system of claim 1, wherein said data interface is selected froman order management system, an execution management system, and asettlement system.
 4. The tracking system of claim 2, further comprisingone or both of: a reporting module; and a research module. 5-10.(canceled)
 11. The tracking system of claim 1, wherein the system formerging is an algorithmic trading and routing server remotely locatedfrom data interface.
 12. The tracking system of claim 1, wherein theplurality of order destinations are electronic destinations thatautomatically execute matches of electronic orders without humanintervention and, for each match, automatically generates and transmitsexecution data for each individual executions.
 13. The tracking systemof claim 12, wherein said post-trade aggregation system is furtherconfigured to intercept execution data transmitted by the plurality oforder destinations to said data interface.